Trend-Following Backtester · Guide · backtest 한국어
equity · US
Inspire Medical Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Inspire Medical Systems, Inc.. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.3%, MDD -54.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.7%, drawdown -87.7%).
Sharpe leader (same as main): Supertrend — CAGR 14.2%, MDD -67.9%, Sharpe 0.53, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 19.8%p (CAGR 13.3%, MDD -54.2%, exposure 71%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=2.9 |
14.2% | -67.9% | 0.53 | 0.21 | 3.0x | 51 | 52% |
| SMA 크로스오버 fast=10, slow=28 |
13.1% | -63.2% | 0.50 | 0.21 | 2.8x | 71 | 55% |
| Donchian 채널 돌파 entryN=23, exitN=78 |
13.3% | -54.2% | 0.50 | 0.25 | 2.8x | 17 | 71% |
| EMA 크로스오버 fast=135, slow=183 |
11.8% | -54.2% | 0.48 | 0.22 | 2.5x | 4 | 50% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=12, mult=1.1 |
9.7% | -62.5% | 0.44 | 0.16 | 2.2x | 79 | 44% |
| ROC 모멘텀 n=128, threshold=0.04 |
8.9% | -59.6% | 0.42 | 0.15 | 2.0x | 58 | 51% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
2.9% | -20.0% | 0.39 | 0.14 | 1.3x | 7 | 4% |
| MACD fast=19, slow=54, signal=12 |
5.4% | -78.0% | 0.35 | 0.07 | 1.6x | 83 | 53% |
| Parabolic SAR step=0.015, maxStep=0.38 |
4.7% | -85.9% | 0.32 | 0.05 | 1.5x | 149 | 53% |
| ADX / DI 방향성 period=20, threshold=13 |
-2.9% | -61.3% | 0.12 | -0.05 | 0.8x | 121 | 48% |
| Buy and hold | 11.7% | -87.7% | 0.49 | 0.13 | 2.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)